The Trading Volume Impact of Local Bias: Evidence from a Natural Experiment

Heiko Jacobs and Martin Weber

Review of Finance, 2012, vol. 16, issue 4, 867-901

Abstract: Exploiting regional holidays in Germany as a source of exogenous cross-sectional variation in investor attention, we provide evidence that the well-known local bias at the individual level materially affects stock turnover at the firm level. Stocks of firms located in holiday regions are temporarily strikingly less traded than otherwise very similar stocks in non-holiday regions. This negative turnover shock survives comprehensive tests for differences in information release. It appears particularly pronounced in stocks less visible to nonlocal investors and for smaller stocks disproportionately driven by retail investors. Our findings contribute to research on local bias, trading activity, and investor distraction. Copyright 2012, Oxford University Press.

Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://hdl.handle.net/10.1093/rof/rfr022 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:revfin:v:16:y:2012:i:4:p:867-901

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Review of Finance is currently edited by Marcin Kacperczyk

More articles in Review of Finance from European Finance Association Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK. Contact information at EDIRC.
Bibliographic data for series maintained by Oxford University Press ().